报告题目：The information value of news in predicting defaults of corporate bond issuers

报 告 人：部慧（北京航空航天大学经管学院 副教授/金融系主任）

主 持 人：曾燕（中山大学岭南学院 教授）

时    间：2023年12月04日（周一）14：30

地    址：岭南行政中心214

语    言：中文

摘要:

This study investigates the information value and predictive power of news headlines for predicting the first-time defaults of corporate bond issuers in the Chinese market. By integrating domain knowledge-derived topics with cause-effect logic into a newly proposed credit risk dictionary, we formulate firm-level news-related variables extracted from news headlines. This study explores whether news offers incremental information value compared to financial ratios and economic variables, examining the specific information covered, identifying the media categories providing this incremental information, and evaluating the predictive power and early warning capabilities of news-related variables. The discussions are made by adopting the static logistic regression model, an interpretable AI model, based on all default events since 2014 to 2022 in China. The findings reveal that news headlines encapsulate firm-specific incremental information beyond conventional financial ratios and economic variables, showcasing predictive power. The integration of cause-effect domain knowledge-derived topics yields more informative insights than individual words in text analysis. News can unveil information related to business operations, company management, and associated risks, aspects challenging to measure otherwise. Our results exhibit robustness. Furthermore, news variables exhibit early warning capabilities with forecasting horizons of 3 months or longer, offering valuable insights for credit risk management practices. These discoveries deepen our comprehension of news-driven credit risk assessment, bearing implications for financial practitioners and policymakers.

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报告人介绍：    

    部慧，副教授、博士生导师，北航经管学院金融系主任。研究领域为实证资产定价、金融市场、风险管理、金融科技、监管科技及风险管理领域。主持了五项国家自然科学基金项目，发表了近40篇学术论文，出版1部教材和2部专著，获得6项国家技术发明专利授权，多次获得会议优秀论文奖和国际研究者奖项。相关研究成果产生了重要的社会影响：成功主导研发了四套金融监管系统服务监管和监察机构；参与“债券违约风险监测预警系统”基于新闻的信用风险评估模型研发，该风控模型服务金融机构；参与多个业界金融产品研发。多篇政策研究报告被中央两办和部委采纳，为我国金融监管政策提供了有力支撑。兼任中国系统工程学会金融系统工程专业委员会理事、中国工业与应用数学学会金融数学、金融工程与精算专业委员会的青年专业委员会金融工程方向的委员、中国金融学年会理事会成员；兼任多个学术会议程序委员会成员；兼任国内外20余本期刊审稿人。兼任教育部学位与研究生教育发展中心评审专家、全国本科毕业论文（设计）抽检评审专家、国家自然科学基金管理科学部和北京市自然科学基金的函评专家、多家机构的项目评审专家。

    活动由中山大学保险与金融工程教研室和中山大学金融工程与风险管理研究中心联合举办。       

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